Computation of \(\pi (y_{n+1};y^n)\)  requires the specification of a non-conformity measure \(\Psi \) . For multivariate responses, there are a number of options, for example, [1]} construct conformal prediction regions using a multivariate kernel density estimator. As an alternative, here we use data depth [2]} to construct a non-conformity measure and, in turn, a prediction plausibility contour as in (REF ).
